If you are having issues with downloading files, or accessing sites via the default Internet Explorer install in a Windows Server 2012 environment, you will generally need to disable IE Enhanced Security.
Below are the steps you can follow to disable this feature.
On the Windows Server 2012 server desktop, locate and start the Server Manager Window.
Select the Local Server (The server you are currently on and the one that needs IE Enhanced Security turned off)
On the right side of the Server Manager, you will by find the IE Enhanced Security Configuration Setting. (The default is "On" for new Installations).
You have two settings that can be disabled, one only affects the Administrators, and the other affects general non-local Administrator Users.
Choose which you wish to disable, either Administrators, Users or both.
In this example, we have completely disabled IE Enhanced Security.
When your selection is made, click OK.
Once you are back in the Server Manager, after confirming your changes, you may not see that the change has reflected in the current page. You are able to refresh the page configuration by pressing the "F5" key.
Once you confirm it's off, you can open up a IE browser windows and try to access any site to test whether it's working, and no longer be prompted.